Théorie de la spéculation¶
Bachelier, L. (1900). Théorie de la spéculation. Annales scientifiques de l'École Normale Supérieure, 17, 21-86.
Cited by¶
3 citations across 3 artifacts.
Each citation links to the sentence it supports in the citing article.
Primes¶
- Diffusion
- Bachelier's
This sourcePioneering application of random walks to financial markets; describes Brownian motion mathematically five years before Einstein (precursor to the Wiener process); applies diffusion-like equations to price evolution and option valuation.
- Bachelier's
- Efficient Market Hypothesis (EMH)
- The information-aggregation generalization extends across well-studied subfields: Bachelier's (1900) thesis on the théorie de la spéculation supplied the first random-walk model of speculative prices long before EMH was named, Cootner's (1964) edited volume The Random Character of Stock Market Prices consolidated the empirical foundation, Roberts's (1967) working paper introduced the now-standard weak/semi-strong/strong taxonomy that Fama (1970) propagated, Black (1986) identified noise traders as a structural source of liquidity and inefficiency, O'Hara (1995) developed the market-microstructure mechanics through which information actually impounds, and Shleifer (2000) synthesized the behavioral-finance critique into an alternative model of inefficient markets.
This sourceFirst random-walk model of speculative prices (Bachelier random walk; Wiener-process precursor) — supports the part of compound marker 225 attributing the earliest random-walk model; see compound-claim flag.
- The information-aggregation generalization extends across well-studied subfields: Bachelier's (1900) thesis on the théorie de la spéculation supplied the first random-walk model of speculative prices long before EMH was named, Cootner's (1964) edited volume The Random Character of Stock Market Prices consolidated the empirical foundation, Roberts's (1967) working paper introduced the now-standard weak/semi-strong/strong taxonomy that Fama (1970) propagated, Black (1986) identified noise traders as a structural source of liquidity and inefficiency, O'Hara (1995) developed the market-microstructure mechanics through which information actually impounds, and Shleifer (2000) synthesized the behavioral-finance critique into an alternative model of inefficient markets.
- Stochasticity vs. Determinism
- The geometric Brownian motion (dS/S = μdt + σdW) is stochastic: as Bachelier (1900) first proposed in his thesis on speculation, given present price, multiple future prices are possible, governed by probability distributions.
This sourcePioneering application of random walks to financial markets; introduces Bachelier random walk (precursor to Wiener process); shows that diffusion-like equations apply to price evolution and option valuation; foundational for stochastic modeling in finance. Bachelier random walk, financial diffusion, Wiener process precursor, option pricing foundation, stochastic processes in markets.
- The geometric Brownian motion (dS/S = μdt + σdW) is stochastic: as Bachelier (1900) first proposed in his thesis on speculation, given present price, multiple future prices are possible, governed by probability distributions.
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